LYON Taming

Authors

  • JOHN J. McCONNELL,

  • EDUARDO S. SCHWARTZ

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    • Purdue University and University of British Columbia, respectively. Thomas Patrick, Lynne Dinzole, Lee Coles, and Robert Moulton-Ely of Merrill Lynch White Weld Capital Markets Group were especially helpful to us in developing the ideas presented in this paper.


ABSTRACT

A Liquid Yield Option Note (LYON) is a zero coupon, convertible, callable, puttable bond. This paper presents a simple contingent claims pricing model for valuing LYONS and uses the model to analyze a specific LYON issue.

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